------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Sat Nov 1 00:01:07 CST 2003. (To retrieve abstracts without full papers, use e.g. get 0311001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311001 From: slava@bu.edu Date: Mon, 3 Nov 2003 08:26:03 -0600 ( 0kb + 228kb ) Title: Consistent Estimation of Pricing Kernels from Noisy Price Data Author: Vladislav Kargin (Cornerstone Research) Contact: slava@bu.edu Comments: Type of Document - pdf; prepared on Win2000; pages: 13 Keywords: epsilon-entropy, non-parametric estimation, pricing kernel, inverse problems JEL: G12, G13, C14 EWPA-references: Report-no: VK-03-05 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311002 From: Florian.Neagu@bnro.ro Date: Tue, 4 Nov 2003 10:06:02 -0600 ( 0kb + 315kb ) Title: Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case Author: Florian Neagu (National Bank of Romania) Contact: Florian.Neagu@bnro.ro Comments: Type of Document - pdf Keywords: Capital account liberalization, European integration, Central bank, Romania JEL: C22, E58, F32, F36, G13 EWPA-references: Report-no: fl_neagu_03 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311003 From: hans.hvide@nhh.no Date: Wed, 5 Nov 2003 02:54:19 -0600 ( 0kb + 377kb ) Title: A Theory of Capital Structure with Strategic Defaults and Priority Violations Author: Hans K. Hvide and Tore Leite Contact: hans.hvide@nhh.no Comments: Type of Document - pdf; prepared on WinXP; pages: 40 Keywords: Cash Diversion, Costly State Verification, Outside Equity, Financial Contracts. JEL: EWPA-references: Report-no: hanshvide2 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311004 From: c.faugere@albany.edu Date: Wed, 5 Nov 2003 14:03:54 -0600 ( 0kb + 228kb ) Title: The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance Author: Christophe Faugere (U at Albany) and Julian Van Erlach (Bioscosm Inc.) Contact: c.faugere@albany.edu Comments: Type of Document - pdf; prepared on Win2000; to print on HP LaserJet 4 plus; pages: 21; figures: None. Pdf document Keywords: Equity Premium, GDP Growth, Corporate Debt, T-Bills, Risk-Free Rate, Downside Risk, Options, Protective Puts, Portfolio Insurance, Total Stock Return. JEL: G12 EWPA-references: Report-no: FVEEP-03-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311005 From: c.faugere@albany.edu Date: Wed, 5 Nov 2003 14:22:47 -0600 ( 0kb + 374kb ) Title: A General Theory of Stock Market Valuation and Return Author: Christophe Faugere (U at Albany) and Julian Van Erlach (Biocosm Inc.) Contact: c.faugere@albany.edu Comments: Type of Document - pdf; prepared on Win2000; to print on HP LaserJet 4 plus; pages: 34; figures: Embedded in text. pdf document Keywords: Required yield, Earnings yield, Equity Premium, S&P 500 Valuation, Fed Model. JEL: G12 EWPA-references: Report-no: FVERYT-03-02 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311006 From: dmitry_baryshevsky@yahoo.com Date: Tue, 11 Nov 2003 04:21:36 -0600 ( 0kb + 182kb ) Title: Playing on profits cycle? Author: Dmitry Baryshevsky Contact: dmitry_baryshevsky@yahoo.com Comments: Type of Document - pdf; prepared on WinNT; to print on HPLaserJet; pages: 9; figures: 10 color figures . PDF, 10 color figures included Keywords: Profits cycle, earnings, growth rate, P/E ratio, earnings accumulation, Fed's model, CRB Spot Index, 10-Y Treasury bond yield JEL: EWPA-references: The Speed, ewp-fin/0307001 What is hidden in the Fed's model? The second approximation, ewp-fin/0308006 Report-no: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311007 From: s.m.bartram@lancaster.ac.uk Date: Thu, 13 Nov 2003 12:37:13 -0600 ( 0kb + 473kb ) Date (revised): Fri, 12 Dec 2003 05:41:33 -0600 Title: Alternative Market Structures for Derivatives Author: Sohnke M. Bartram (Lancaster University) and Frank R. Fehle (University of South Carolina) Contact: s.m.bartram@lancaster.ac.uk Comments: Type of Document - PDF; prepared on IBM PC; pages: 47 Keywords: Options, Market Design, Microstructure, Bid-Ask Spreads JEL: G10, G13 EWPA-references: Report-no: SB-2003-03 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311008 From: dino@montana.edu Date: Wed, 19 Nov 2003 17:31:19 -0600 ( 0kb + 209kb ) Title: Cutting the Dividends Tax…and Corporate Governance Too? Author: Dino Falaschetti and Michael Orlando Contact: dino@montana.edu Comments: Type of Document - pdf; prepared on WinXP; pages: 13 Keywords: Dividends Tax, Corporate Governance JEL: G32, G38, H25 EWPA-references: Report-no: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311009 From: zakamouliny@yahoo.no Date: Fri, 21 Nov 2003 07:09:08 -0600 ( 0kb + 313kb ) Title: European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs Author: Valeri Zakamouline (Norwegian School of Economics & Business Administration) Contact: zakamouliny@yahoo.no Comments: Type of Document - pdf; prepared on WinXP; pages: 43; figures: 6 Keywords: option pricing, transaction costs, stochastic control, Markov chain approximation JEL: C61, G11, G13 EWPA-references: Report-no: zakamouline for 19 2002 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311010 From: povel@umn.edu Date: Tue, 25 Nov 2003 10:10:52 -0600 ( 0kb + 374kb ) Title: The U-shaped Investment Curve: Theory and Evidence Author: Sean Cleary (St. Mary's University) and Paul Povel (University of Minnesota) and Michael Raith (University of Rochester) Contact: povel@umn.edu Comments: Type of Document - pdf; prepared on WinXP; to print on any; pages: 50 ; figures: 4; included Keywords: Financial constraints, capital market imperfections, financial contracts, investment, internal funds, investment-cash flow sensitivity JEL: G32, G33, L13 EWPA-references: Report-no: pp_tusic_1 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311011 From: povel@umn.edu Date: Tue, 25 Nov 2003 10:15:18 -0600 ( 0kb + 247kb ) Title: Bidder Asymmetry in Takeover Contests: The Role of Deal Protection Devices Author: Paul Povel (University of Minnesota) and Rajdeep Singh (University of Minnesota) Contact: povel@umn.edu Comments: Type of Document - pdf; prepared on WinXP; to print on any; pages: 37; figures: none Keywords: Takeovers, asymmetric information, lock-ups, termination fees, poison pills, bidder exclusivity JEL: G34, D44 EWPA-references: Report-no: pp_takeovers_1 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311012 From: zakamouliny@yahoo.no Date: Fri, 28 Nov 2003 02:31:12 -0600 ( 0kb + 398kb ) Title: American Option Pricing with Transaction Costs Author: Valeri Zakamouline (Norwegian School of Economics & Business Administration) Contact: zakamouliny@yahoo.no Comments: Type of Document - pdf; prepared on WinXP; pages: 51; figures: 11 Keywords: option pricing, transaction costs, stochastic control, optimal stopping, Markov chain approximation JEL: C61, G11, G13 EWPA-references: Report-no: zakamouline for 15 2003 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311013 From: paolop@unive.it Date: Fri, 28 Nov 2003 03:38:55 -0600 ( 0kb + 175kb ) Date (revised): Thu, 4 Dec 2003 12:10:37 -0600 Title: Static Hedging of Multivariate Derivatives by Simulation Author: Paolo Pellizzari (University of Venice) Contact: paolop@unive.it Comments: Type of Document - pdf; prepared on Latex on Mac; to print on Laser; pages: 23; figures: included Keywords: Monte Carlo methods, option pricing, static and dynamic hedging JEL: C15, G12 EWPA-references: Report-no: paolop281103 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0311014 From: markus.ricke@wiwi.uni-muenster.de Date: Fri, 28 Nov 2003 09:23:30 -0600 ( 0kb + 394kb ) Title: What Is The Link Between Margin Loans And Stock Market Bubbles? A Model to Show the Effectiveness of Margin Regulation Author: Markus Ricke (University of Muenster) Contact: markus.ricke@wiwi.uni-muenster.de Comments: Type of Document - pdf; prepared on WinXP; pages: 39; figures: 6 Keywords: asset pricing, bubble, information asymmetry, heterogeneous expectations, margin loan, margin regulation JEL: D82, G12, G18, G21 EWPA-references: Report-no: LENA78 \\